1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The strategy is based on the reports "Strategy Portfolio Report under Industry Rotation: Quantitative Analysis from the Perspective of Industry Style Continuity and Switching" (20241007) and "Research on the Overview and Allocation Methods of the Stock - type ETF Market: Taking the ETF Portfolio Based on the Industry Rotation Strategy as an Example" (20241013), constructing a strategy portfolio based on industry and theme ETFs [2] - From 20260224 - 20260227, the cumulative net return of the strategy was about 0.44%, and the excess return relative to the CSI 300 ETF was about - 0.71%. From October 14, 2024 to now, the cumulative out - of - sample return of the strategy was about 38.54%, and the cumulative excess return relative to the CSI 300 ETF was about 13.71% [5] - In the week of 20260302, the model recommends allocating sectors such as real estate development, cement, and batteries. In the next week, the strategy will newly hold products such as Building Materials ETF, Battery ETF Huitianfu, Bank ETF, and Game ETF, and continue to hold products such as Real Estate ETF and Tourism ETF [13] 3. Summary by Relevant Catalogs 3.1 Strategy Update - The strategy constructs a portfolio based on industry and theme ETFs, with reference to two previous research reports [2] 3.2 ETF Portfolio Information | Fund Code | ETF Name | ETF Market Value (billion yuan) | Holding Status | Heavy - held SW Industry and Weights | Weekly Timing Signal | Daily Timing Signal | | --- | --- | --- | --- | --- | --- | --- | | 159707 | Real Estate ETF | 6.65 | Continue to hold | Real estate development (100%) | - 1 | - 1 | | 159745 | Building Materials ETF | 26.61 | Add | Cement (45.24%) | 1 | 1 | | 159796 | Battery ETF Huitianfu | 84.32 | Add | Batteries (64.18%) | - 1 | - 1 | | 512800 | Bank ETF | 114.46 | Add | Joint - stock banks (42.01%) | - 1 | - 1 | | 159869 | Game ETF | 122.27 | Add | Games (83.85%) | 1 | - 1 | | 159766 | Tourism ETF | 78.92 | Continue to hold | Aviation and airports (33.21%) | 0 | 0 | | 515220 | Coal ETF | 94.06 | Add | Coal mining (88.96%) | 1 | 1 | | 159328 | Home Appliance ETF E Fund | 1.21 | Add | White goods (43.01%) | - 1 | - 1 | | 515650 | Consumption 50 ETF | 36.27 | Add | Baijiu (28%) | - 1 | 0 | | 515760 | Zhejiang State - owned Assets ETF Huaxia | 1.44 | Add | City commercial banks (20.13%) | 0 | 0 | [3] 3.3 Performance Tracking - From 20260224 - 20260227, the cumulative net return of the strategy was about 0.44%, and the excess return relative to the CSI 300 ETF was about - 0.71% - From October 14, 2024 to now, the cumulative out - of - sample return of the strategy was about 38.54%, and the cumulative excess return relative to the CSI 300 ETF was about 13.71% [5] 3.4 Portfolio Adjustment and Recommendations - In the week of 20260302, the model recommends allocating sectors such as real estate development, cement, and batteries - In the next week, the strategy will newly hold products such as Building Materials ETF, Battery ETF Huitianfu, Bank ETF, and Game ETF, and continue to hold products such as Real Estate ETF and Tourism ETF [13]

Investment Rating - The industry investment rating is "Increase" with an expectation of a relative increase of over 10% compared to the benchmark index in the next 6 to 12 months [17]. Core Insights - The market is currently in an upward trend, with the core observation variable being the change in profit effect, which is at 1.91%, indicating a potential for continued market growth [5][8]. - The upcoming Two Sessions (Lianghui) period is expected to drive short-term policy focus, historically associated with stable market performance [5][8]. - The market has shown resilience despite geopolitical tensions in the Middle East, which may suppress risk appetite [5][8]. Summary by Sections Market Overview - The overall market (WIND All A Index) has shown an increase of 2.75% and reached a new high, with small-cap stocks (CSI 1000) rising by 4.34% and mid-cap stocks (CSI 500) by 4.32% [2][7]. - The steel sector has performed particularly well, with an increase of 11.8%, while the media sector has declined by 4.44% [2][7]. Timing System Analysis - The distance between the 20-day and 120-day moving averages is 6.28%, indicating a positive market trend, with the short-term average above the long-term average [2][5]. - The market trend line is positioned around 6812 points, suggesting a favorable environment for continued investment [5][8]. Sector Allocation - The industry trend configuration model suggests waiting for a reversal signal in the real estate chain (Construction Materials ETF code 159745.SZ) during the Two Sessions window, which may present short-term opportunities [6][15]. - The TWO BETA model continues to recommend the technology sector, particularly focusing on commercial aerospace (Satellite ETF code 563230.SH) for rebound opportunities [6][15]. - The performance trend model highlights the importance of focusing on the computing-related industry chain (Semiconductor Equipment ETF code 159516.SZ, Communication ETF code 515880.SH) as well as non-ferrous metals (Industrial Non-ferrous ETF code 560860.SH, Rare Earth ETF code 516150.SH) and chemicals (Chemical ETF code 159870.SZ) [6][15]. Valuation Metrics - The PE ratio of the WIND All A Index is near the 90th percentile, indicating a high valuation level, while the PB ratio is at the 50th percentile, suggesting a moderate valuation level [9][11]. - Based on the short-term trend assessment, an 80% allocation in absolute return products based on the WIND All A Index is recommended [9].

Quantitative Models and Construction Methods 1. Model Name: Timing System Signal - **Model Construction Idea**: The model uses the distance between the short-term and long-term moving averages of the WIND All A Index to determine market trends and timing signals [2][7][13] - **Model Construction Process**: 1. Define the short-term moving average (20-day) and long-term moving average (120-day) of the WIND All A Index 2. Calculate the distance between the two moving averages: $ Distance = \frac{Short\text{-}term\ MA - Long\text{-}term\ MA}{Long\text{-}term\ MA} $ 3. If the absolute value of the distance is greater than 3%, it indicates a significant trend signal [2][7][13] - **Model Evaluation**: The model effectively identifies market trends and provides actionable timing signals [2][7][13] 2. Model Name: Industry Trend Allocation Model - **Model Construction Idea**: This model identifies industry allocation opportunities based on medium-term reversal expectations and performance trends [6][8][15] - **Model Construction Process**: 1. Monitor medium-term reversal signals for specific industries, such as the real estate chain 2. Use performance trend analysis to identify industries with strong growth potential, such as technology, semiconductors, and chemicals 3. Recommend ETF products corresponding to these industries for allocation [6][8][15] - **Model Evaluation**: The model provides clear industry allocation guidance and captures sectoral opportunities effectively [6][8][15] 3. Model Name: Position Management Model - **Model Construction Idea**: This model determines the recommended equity allocation ratio based on valuation levels and market trends [9] - **Model Construction Process**: 1. Assess the PE and PB valuation levels of the WIND All A Index 2. Combine valuation levels with short-term market trends to determine the recommended equity allocation ratio 3. For example, with the current PE at the 90th percentile and PB at the 50th percentile, the model suggests an 80% equity allocation [9] - **Model Evaluation**: The model provides a systematic approach to position management, balancing valuation and trend considerations [9] --- Model Backtesting Results 1. Timing System Signal - Moving average distance: 6.28% (absolute value > 3%) - Market trend line: 6812 points - Profitability effect: 1.91% (significantly > 0) [2][7][13] 2. Industry Trend Allocation Model - Recommended sectors: - Real estate chain (e.g., Building Materials ETF: 159745.SZ) - Technology (e.g., Satellite ETF: 563230.SH) - Semiconductors and communication (e.g., Semiconductor Equipment ETF: 159516.SZ, Communication ETF: 515880.SH) - Metals and chemicals (e.g., Industrial Metals ETF: 560860.SH, Rare Earth ETF: 516150.SH, Chemical ETF: 159870.SZ) [6][8][15] 3. Position Management Model - Recommended equity allocation: 80% [9] --- Quantitative Factors and Construction Methods 1. Factor Name: Profitability Effect - **Factor Construction Idea**: Measures the market's profitability to assess upward momentum [2][7][13] - **Factor Construction Process**: 1. Calculate the profitability effect as a percentage of profitable stocks in the market 2. A positive profitability effect indicates upward momentum [2][7][13] - **Factor Evaluation**: The factor effectively captures market sentiment and momentum [2][7][13] --- Factor Backtesting Results 1. Profitability Effect - Current value: 1.91% (significantly > 0) [2][7][13]

- The report does not contain specific quantitative models or factors, nor does it provide detailed construction processes, formulas, or backtesting results for any quantitative models or factors. The content primarily focuses on market analysis, investment opportunities, and thematic discussions such as AI technology and price increase logic[2][3][10][11][12][13]

Group 1: Report Overview - The report is a weekly strategy report on industry rotation TF from February 2, 2026, to February 8, 2026, released on February 9, 2026 [1][2] - The strategy is based on two previous reports and constructs an ETF - based strategy portfolio [2] Group 2: Investment Recommendations Current Holdings and Changes - ETFs to be continued to hold include Building Materials ETF (159745, market value 21.67 billion yuan), Real Estate ETF (159707, market value 6.40 billion yuan), Petrochemical ETF (159731, market value 17.46 billion yuan), Chemical ETF (159870, market value 340.36 billion yuan), and Rare Metals ETF (562800, market value 62.40 billion yuan) [3] - ETFs to be newly added or adjusted to hold include Tourism ETF (159766, market value 91.07 billion yuan), Wine ETF (512690, market value 192.66 billion yuan), Traditional Chinese Medicine ETF (560080, market value 26.52 billion yuan), New Energy Vehicle ETF (515700, market value 19.75 billion yuan), and Agricultural ETF Harvest (516550, market value 2.03 billion yuan) [3] - ETFs to be removed from the portfolio include Non - Ferrous Metals ETF (512400, market value 352.52 billion yuan), Gold Stocks ETF (517520, market value 151.34 billion yuan), Grain ETF (159698, market value 4.66 billion yuan), Securities and Insurance ETF E Fund (512070, market value 201.73 billion yuan), and Agricultural ETF (159825, market value 26.26 billion yuan) [11] Sector Recommendations - The model recommends allocating to sectors such as cement, real estate development, and airport aviation in the week of February 9, 2026 [12] - In the next week, the strategy will newly hold Game ETF, Wine ETF, Traditional Chinese Medicine ETF, and New Energy Vehicle ETF, and continue to hold Building Materials ETF, Real Estate ETF, and Petrochemical ETF [12] Group 3: Performance Tracking - From February 2 to February 6, 2026, the cumulative net return of the strategy was approximately - 3.85%, and the excess return relative to the CSI 300 ETF was approximately - 2.53% [3] - From October 14, 2024, to February 6, 2026, the out - of - sample cumulative return of the strategy was approximately 38.45%, and the cumulative excess return relative to the CSI 300 ETF was approximately 15.41% [3]

Group 1 - The A-share market's three major indices opened high and continued to rise, with the building materials sector showing strong performance, highlighted by stocks like Jinjing Technology hitting the daily limit, Subote rising over 7%, and Mona Lisa increasing over 6% [1] - The building materials ETF (516750) rose nearly 2% in early trading, with a year-to-date cumulative increase of approximately 14%, outperforming the broader market [2] - Analysts indicate that the industry's profitability has bottomed out, with prices having no downward space after years of competition, and there is a strong demand for price increases and profit improvement due to anti-involution policies [2] Group 2 - Multiple categories such as waterproofing, coatings, and gypsum board are expected to issue price increase notices in 2025, with industry profitability anticipated to bottom out, and improvements in leading companies' profitability expected by 2026 [2] - The real estate market is showing signs of stabilization and recovery, with expectations for a mild recovery in transaction volumes as it enters the traditional demand peak season, potentially stabilizing prices [2] - The building materials ETF tracks the CSI All Share Construction Materials Index, which includes leading companies in the sector such as Conch Cement, Dongfang Yuhong, and Beixin Building Materials [2]

Core Viewpoint - The recent surge in various ETFs, particularly in the metals and mining sectors, indicates a recovery in market sentiment following a period of volatility, driven by technical corrections and strategic reserve initiatives by major economies [1][2][4]. ETF Performance - The following ETFs have shown significant gains: - Cathay Metals ETF: +6.23% YTD +16.57% - Mining ETF: +5.80% YTD +18.51% - Cathay Metals LOF: +5.72% YTD +16.21% - Cathay Gold ETF: +5.03% YTD +12.07% - Gold Stocks ETF: +4.24% YTD +29.39% - Cathay Chemical ETF: +4.03% YTD +8.03% - Building Materials ETF: +4.03% YTD +10.91% [1]. Market Dynamics - The rebound in gold prices, reaching a peak of $4,949.99, and silver prices above $87, reflects a shift in market dynamics, with short positions being closed and new buying interest emerging [2]. - The increase in holdings of the iShares Silver Trust by 1,023.23 tons marks the third-largest single-day increase in its history, indicating strong investor interest [3]. Strategic Reserve Initiatives - The Chinese government is exploring the expansion of its copper strategic reserve, which may support copper prices, similar to the U.S. strategic reserve initiatives [3]. - Trump's plan to initiate a $12 billion mineral reserve aims to bolster U.S. manufacturing against supply disruptions, reflecting a shift towards prioritizing security over efficiency in resource management [4]. Future Outlook - The expectation of a resource bull market remains, supported by historical patterns where extreme volatility in gold prices often precedes significant upward trends [5]. - Long-term factors such as monetary easing, the safe-haven appeal of gold, and the trend of de-dollarization are expected to sustain gold's upward trajectory [6]. - Investors are advised to adopt differentiated strategies, balancing short-term opportunities with long-term value, while being cautious of market volatility [7]. Related Investment Opportunities - Key ETFs to consider include: - Largest Oil ETF: 561360 - Unique Coal ETF: 515220 - Cathay Chemical ETF: 516220 - Largest Building Materials ETF: 159745 [9][10].

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - The Financial Street Securities Research Institute constructs a strategy portfolio based on industry and thematic ETFs, referring to the strategy reports "Strategy Portfolio Report under Industry Rotation: Quantitative Analysis from the Perspective of Industry Style Continuity and Switching" (20241007) and "Research on the Overview and Allocation Methods of the Stock - type ETF Market: Taking the ETF Portfolio Based on the Industry Rotation Strategy as an Example" (20241013) [2] - From 20260126 - 20260130, the cumulative net return of the strategy was approximately - 0.24%, and the excess return relative to the CSI 300 ETF was approximately - 0.39%. From October 14, 2024, to the present, the cumulative out - of - sample return of the strategy was approximately 44.34%, and the cumulative excess return relative to the CSI 300 ETF was approximately 19.78% [3] - In the week of February 2, 2026, the model recommends allocating sectors such as refining and trading, cement, and industrial metals. In the next week, the strategy will newly hold products such as Building Materials ETF, Non - Ferrous Metals ETF, and Real Estate ETF, and continue to hold products such as Petrochemical ETF, Chemical ETF, and Gold Stocks ETF [12] 3. Summary by Relevant Catalog 3.1 Strategy Portfolio Information - The strategy portfolio includes ETFs such as Petrochemical ETF (159731), Building Materials ETF (159745), Non - Ferrous Metals ETF (512400), etc. Each ETF has information such as market value, holding status, heavy - held Shenwan industries and their weights, as well as weekly and daily timing signals. For example, the Petrochemical ETF has a market value of 16.60 billion yuan, and the heavy - held industry is refining and trading with a weight of 27.28%, and both the weekly and daily timing signals are 1 [3] 3.2 Performance Tracking - During 20260126 - 20260130, the cumulative net return of the strategy was about - 0.24%, and the excess return relative to the CSI 300 ETF was about - 0.39%. From October 14, 2024 to now, the cumulative out - of - sample return of the strategy was about 44.34%, and the cumulative excess return relative to the CSI 300 ETF was about 19.78% [3] 3.3 Portfolio Adjustment - In the week of February 2, 2026, the strategy will add holdings of Building Materials ETF, Non - Ferrous Metals ETF, Real Estate ETF, etc., and continue to hold Petrochemical ETF, Chemical ETF, Gold Stocks ETF, etc. Some previously held ETFs such as Mining ETF, Communication ETF, etc. will be removed from the portfolio [3][11][12]

Investment Rating - The report maintains a bullish outlook on short-term bonds, balanced undervalued convertible bonds, and cautiously bullish on gold assets [1][2][3] Core Insights - The report emphasizes a multi-asset allocation strategy focusing on short-term bonds, undervalued convertible bonds, and gold assets, with a specific recommendation to hold 1-year short-duration bonds due to predicted increases in level factors and steepening of the yield curve [1][10] - The convertible bond market is currently viewed as having low relative value compared to underlying stocks, with a "100-yuan conversion premium rate" of 45.02% indicating a low cost-effectiveness for overall allocation [2][15] - The expected return for gold over the next year is projected at 30.8%, suggesting a cautious bullish stance on gold assets following significant price declines [2][22] Summary by Sections Multi-Asset Allocation Viewpoints - **Bond Duration Timing**: The model predicts an increase in level factors and a steepening yield curve, recommending the holding of 1-year short-duration bonds [10][11] - **Convertible Bond Allocation**: The "100-yuan conversion premium rate" is at 45.02%, indicating low cost-effectiveness for convertible bonds compared to underlying stocks. The median of the "adjusted YTM - credit bond YTM" is -5.36%, suggesting low relative value for debt-type convertible bonds [15][16] - **Gold Allocation**: The expected return for gold is projected at 30.8%, with a cautious bullish outlook due to recent price declines [22][23] Stock and Bond Allocation - The report is bullish on equity assets, with the latest equity position at 25%. The stock-bond rotation strategy has yielded a return of 1.23% in January, with the latest equity position at 24.66% [25][32] Industry Rotation - The report is bullish on sectors including steel, building materials, media, chemicals, telecommunications, and textiles. It recommends a growth style over value style, with a focus on cyclical and technology sectors [4][41] - The latest industry rotation signals indicate a preference for cyclical and technology sectors, with a strong recommendation for growth style investments [41][42] ETF Rotation Portfolio - The ETF rotation portfolio includes holdings in chemical, gaming, building materials, and steel ETFs, with a recent performance showing an excess return of 3.2% compared to the average industry return [49][52]

Group 1 - The core viewpoint of the article highlights that the cement industry is experiencing a stable price environment amidst a backdrop of reduced demand due to adverse weather conditions, with a significant drop in average shipment rates for major domestic cement companies [1] - The construction materials ETF (159745) has seen a net inflow of 408 million shares, indicating strong investor interest in the sector [1] - The average shipment rate for key domestic cement enterprises has decreased to 29%, reflecting a month-on-month decline of approximately 10 percentage points, with limited recovery expected in demand as the Chinese New Year approaches [1] Group 2 - The construction materials index (931009), which the ETF tracks, includes companies involved in the production and sale of building materials such as cement, glass, and ceramics, aiming to reflect the overall performance of publicly listed companies in this sector [1] - The industry is expected to achieve its first substantial capacity reduction through production line replacement by 2025, with further expectations of a 30% capacity reduction in 2026-2027, which could significantly improve industry profitability [1]